The ticket might have a plane change in ORD but they are charging you the going rate for SFO-MKE, regardless of where the in-between routing takes you. SFO-ORD has a higher fare, regardless of if it's non-stop or connecting somewhere else like DEN. A ticket usually prices based on Origin-Destination, Connection point has nothing to do with the fare, it's just part of the routing to get to your destination.

Let's put it this way: Say airline XX flies SFO-MKE non-stop but doesn't fly SFO-ORD. UA has less competition then for passengers from SFO going to ORD and can price those fares higher. However, since UA doesn't fly non-stop SFO-MKE but still wants to compete for customers of XX to fly to MKE, we'll transport them along through ORD to get there but we have to compete with XX on price. No one's going to pay us more to fly through Chicago when they can fly non-stop on XX for cheaper, so we lower our fares so we can get those customers. It's all about supply and demand between SFO-MKE. Most airline tickets are priced that way, not based on cost for distance or number of flights along the route to get there, etc.